4 papers
Multi-Asset Utility Maximization with Jump Signals
Sigui Brice Dro
In this paper, we study portfolio utility maximization problem in a setting where the risky asset is driven by a multidimensional Brownian motion and an independent homogeneous Poi…
Portfolio Exponential Utility Maximization with Jump Signals
Lokmane Abbas Turki, Sigui Brice Dro, Idris Kharroubi
In this paper, we study the portfolio utility maximization in the case where the risky asset is driven by a Brownian motion and an independent homogeneous Poisson measure, with str…
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
Sigui Brice Dro, Emmanuel Gnabeyeu
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate th…
On explicit solutions to a class of quadratic BSDEJs driven by affine Volterra processes with jumps and applications
Sigui Brice Dro, Emmanuel Gnabeyeu
In this paper we consider a class of quadratic BSDEs with jumps (quadratic BSDEJs) involving inhomogeneous affine Volterra processes and show that their solution can be reduced to…